中国A股基石经济

2803 (港元) | 9803 (美元)

# A股
# 智能贝塔
# 多因子
# 低波动
# 价值投资

中国A股新经济

3173 (港元) | 9173 (美元)

# A股
# 智能贝塔
# 新经济
# 消费升级
# 高科技

亚洲创新科技

3181 (港元) | 9181 (美元)

# 数字化
# 人工智能
# 机器人
# 自动化
# 医疗科技

新兴东盟市场

2810 (港元) | 9810 (美元)

# 越南
# 泰国
# 马来西亚
# 菲律宾
# 印尼

MSCI 越南市场NEW

2804 (港元) | 9804 (美元)

# 全球生产链
# 中产阶级兴起
# 消费升级

美国国库浮息票据 (分派)NEW

3077 (港元) | 9077 (美元)

美国国库浮息票据 (累计)NEW

9078 (美元)

# 3个月国库券
# 一周久期
# 税务效率
# 费率0.15%

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基于规则或量化的方法,更有效实现贝塔及阿尔法

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精选观点

The sharp pullback in developed markets could see 10% knocked off the S&P 500 The correction was due to a more complex mix of factors than just COVID-19 A rebound could emerge on monetary stimulus hopes But deeper problems of overvaluation and negligible earnings growth will remain to trouble markets later in the year


Feb 25, 2020


Recent market rallies, despite COVID-19, are neither “ill informed” nor “complacent” Markets are looking past the viral outbreak Stocks will likely return to being driven by whatever the trends were before the outbreak Developed markets are at the tail end of bull moves – they could edge a bit higher but the risks are on the downside, and that's got nothing to do with COVID-19 either Chinese equities could ironically outperform developed market stocks this year


Feb 24, 2020


On account of an atypical, tech-enabled start of the Year of the Rat, what are people doing during this very unusual Chinese New Year holiday period? While the roads are empty and quiet, we see extremely busy traffic online from social gathering and entertainment to post-holiday work arrangements all thanks to technology - which enabled an unconventional time of family reunion, and possibly fast-tracked development of enterprise digital transformation in the way.


Feb 3, 2020


The geopolitical risks that dominated global markets for much of 2019 faded in the last quarter as the US and China reaching a phase one trade deal (which happened on Jan 15th and we discussed in China: Beyond Trade Deal Phase 1). As a result, global equity markets posted gains and China A shares also performed strongly in Q4 2019 against this backdrop.FACTOR PERFORMANCEProductivity Growth was the best performing factor in Q4, followed by Quality. The two factors were the best performing factors in 2018 and they kept the trend in 2019. Value showed a slight sign of reversion in Q4 but remained the worst performing factor throughout the year.As a result, the two Premia multi-factor China A shares ETF saw different performances in 2019. Premia CSI Caixin China Bedrock Economy ETF, which is a defensive play with active Value and LowRisk exposures by design, trailed the broad CSI 300 market performance. On the other hand, Premia CSI Caixin China New Economy ETF, a quality growth play designed to capture high quality, high productive growth new economy companies, was among the top performing broad market China equity ETFs listed outside of China in the full year of 2019 with 43% total return in CNY terms (41% total return in USD).What is Quality & Productivity Growth? - To recap, the factor definitions employed in the Premia multi-factor China A shares indexes, designed by Dr. Jason Hsu’s team at Rayliant Global Advisors are as follows –· Balance Sheet Health (aka Quality in our usual definition): Debt Coverage Ratio, Cash Ratio, Net Profit Margin, negative Accruals, negative Net Operating Assets· Productivity Growth: Gross profitability, Operating Profitability, negative Change in Total Assets, negative Change in Total Book Assets, R&D expense over AssetsBoth of the two factors entail component metrics that are broadly considered as “Quality”, despite the fact that this late popular factor does not really have a commonly agreed definition compared to the widely accepted original Fama-French Size and Value. Dr. Jason Hsu recently published a paper titled “What is Quality”. The paper published in the Financial Analysts Journal won the 2019 Graham and Dodd Top Award, and for those interested can find it on SSRN.2019 was firstly a year of recovery from 2018, but also a year of P/E multiple expansion across industries. New economy sectors, in particular, had a strong year as the government continue to drive policies around its reconfiguration toward a service-oriented, consumption-led, technology first economy despite the headwinds from the US-China trade dispute, or even to a greater extent with the conflict as an alarming catalyst.Our Premia CSI Caixin China New Economy ETF (3173/9173 HK) saw active return not only in the style factors but also from such new economy industry allocation and selection compared to peer ETFs tracking the broad CSI 300 index, as shown in Figure 3.2020: VALUE MIGHT REVERT, BUT QUALITY (NEW ECONOMY) GROWTH WILL CONTINUE TO SHINEHeading into 2020, we believe the price multiple expansion would continue but at a slower speed and be more selective on sectors, especially as China further develops into a two-speed economy. From an industry perspective, new economy sectors such as technology services, advanced manufacturing, new energy and healthcare will continue to be the megatrend growth opportunities and key drivers of China’s overall economic and productivity growth in the long term. On the other hand, as earnings play a bigger role in the P/E * EPS formula for market value, sector leaders with solid profitability and earnings capabilities stand better chances to outperform. From a style factor perspective, the broad set of Quality factors are best positioned to continue generating positive risk premia. The quality growth play would remain ideal for investors looking for megatrend growth opportunities in A-shares, while allocators more concerned about potential downside risk or wish to take a contrarian approach may consider the value strategy. Further readingsChina: Beyond Trade Deal Phase 1Insights from the revenue forecast in China marketChina A Factor Review: 2019 Q3


Feb 2, 2020


Markets are forward looking and they follow the money Pandemics/Epidemics have had little discernible impacts on markets Hang Seng and S&P 500 rallied in the face of SARS 2002-2003 - they were focused on recovery from the Nasdaq Crash S&P 500 rallied despite devastating Swine Flu in 2009-2010 - it was more focused on recovery from the global financial crisis Even the Spanish Flu pandemic, which killed between 50 million and 100 million people, did little to drive the Dow Jones China's GDP will be dented in 1Q2020 but should recover later in the year


Jan 29, 2020


The deal is containment of conflict, not cessation of hostilities US demands against China’s subsidies for State-Owned Enterprises (SOE) and control over the Renminbi remain unresolved core issuesUS targets for Chinese purchases over the next two years are extremely ambitious and at risk of not being metChina has bought some time to reduce its technology and trade dependence on the USChinese policy makers will likely maintain a cautious monetary and fiscal policy stance to avoid a “Japanese Bubble” outcome


Jan 16, 2020

Premia 图说
  • 朱榮熙

    投资经理

In the last article, we have seen that Gold has a low correlation with the CSI Caixin Rayliant Bedrock Economy Index. According to Modern Portfolio Theory, we could construct a portfolio from Gold and Bedrock Index, which would have lower volatility than investing solely in either Gold or Bedrock Index. Using the historical data since July 2013, the theory suggests that we invest in around 30% in Bedrock and 70% in Gold to achieve the lowest volatility. Assume we invest in this allocation since July 2013 and rebalance monthly, the portfolio’s volatility would be around 11.0% annually, lower than Gold’s 13.8% and Bedrock’s 22.0%. However, this method has a look-ahead bias. So, what if we invest in Bedrock Index and Gold equally? The annual volatility would be 12.3%, which is still lower than Gold and Bedrock.

Feb 24, 2020
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